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Main characteristics

Bloomberg Code SGIXBHEV
Inception Date 03/10/2011
Return Type Excess Return
Currency EUR
CALCULATED_BY S&P Dow Jones

Objective

The SGI Bond Optimised Sharpe Strategy (“BOSS”) is an innovative index reflecting the evolution of an international optimised bond strategy based on a proprietary quantitative trading model developed by the Fixed Income Derivatives teams of Société Générale Corporate & Investment Banking. The model seeks to deliver an excess return over traditional bond strategies under predefined risk limitation constraints.

Mechanism

The BOSS model’s investment process can be described as follows:
Implementation of 2 systematic strategies subject to strong risk limits:
   -  Intra-curve asset allocation
   -  Multicurrency investments
Allocation to the universe of the SGI Bond indices:
   -  SGI Bond is a range of investable Fixed Income indices providing a synthetic exposure to constant maturity bonds
   -  Each index replicates an investment in a single currency note  with a fixed maturity
   -  Fixed maturity is obtained by replicating the performance of a monthly rolled bond investment.

Adapted to clients seeking for pure rate strategy and/or requiring simple underlying to face investment policy constraints.


The SGI BOSS 3% Hedged ER - Vol Target (EUR - ER) (The “Index”) is the property of SG, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) (“S&P Dow Jones Indices”) to maintain and calculate the Index. S&P® is a registered trademarks of Standard & Poor’s Financial Services LLC (“SPFS”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed to S&P Dow Jones Indices. “Calculated by S&P Dow Jones Indices Custom” and its related stylized mark(s) are service marks of S&P Dow Jones Indices and have been sublicensed for certain purposes by SG. Neither S&P Dow Jones Indices, SPFS, Dow Jones nor any of their affiliates shall be liable for any errors or omissions in calculating the Index.
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